Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0692
Annualized Std Dev 0.2014
Annualized Sharpe (Rf=0%) 0.3434

Row

Daily Return Statistics

Close
Observations 3846.0000
NAs 1.0000
Minimum -0.1030
Quartile 1 -0.0043
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0063
Maximum 0.1289
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0127
Skewness -0.2107
Kurtosis 11.8097

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0089
Loss Deviation 0.0105
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5783
Historical VaR (95%) -0.0196
Historical ES (95%) -0.0318
Modified VaR (95%) -0.0182
Modified ES (95%) -0.0263
From Trough To Depth Length To Trough Recovery
2007-10-30 2008-11-20 2013-09-18 -0.5783 1482 269 1213
2020-02-13 2020-03-23 2020-08-06 -0.3204 122 27 95
2006-05-09 2006-07-21 2007-05-04 -0.2235 249 52 197
2018-10-02 2018-12-24 2019-04-12 -0.2118 133 58 75
2007-07-20 2007-08-16 2007-09-25 -0.1171 47 20 27

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA NA -0.8 -0.8
2006 0.1 2.3 0.1 0.6 2.1 1.1 -2.4 0.6 -1 -2.1 -0.6 -0.7 -0.1
2007 0.9 -0.3 0.2 -0.1 0.3 0.3 0.5 1.2 1.1 -2.2 1.4 -1.1 2.4
2008 2.9 -3 2.9 1 0.2 0.3 -0.4 -1 0 1.5 -6.8 1.9 -0.8
2009 -1.4 -1.4 -0.9 -0.6 2.2 0.9 -0.8 -2.3 -2.6 -2.3 1.8 -1.2 -8.5
2010 0.8 2.3 0.2 -3.1 -1.6 -0.3 0.3 2.7 0.2 -0.2 1.7 -0.4 2.3
2011 1.1 -1.3 0.7 -0.1 -1.4 1.4 -0.9 -0.8 -1.8 -2.5 -0.2 -0.6 -6.3
2012 0.8 0.3 0.5 0.5 -2.6 3 -0.6 0.3 0.3 1.1 -0.1 1.1 4.7
2013 0.7 0.3 -0.6 -0.8 -0.8 0.6 1.3 -0.2 0.7 0.2 -0.4 0.2 1.2
2014 -0.5 0.6 0.4 -0.3 0.4 0.3 0 0.1 -1.2 0.9 -0.6 -0.8 -0.5
2015 -1.7 -0.3 -0.4 1 0.3 1.1 0.1 -2.6 -0.3 -0.4 0.6 -1 -3.7
2016 0.1 1.9 0.9 -0.9 0.2 0.4 -0.1 0.1 0.8 -0.8 -0.4 -0.4 1.7
2017 -0.4 1.3 -0.1 -0.2 0.8 0.5 0.2 0.4 0.1 0.1 -0.4 -0.3 2.1
2018 -0.1 -1.4 1.3 0 1 0.1 0.1 0.3 0.3 1.4 0.6 1.1 4.8
2019 0.5 0.8 1.2 -0.9 -1.4 0.9 -0.7 -0.1 -1.1 0.7 -0.4 0.2 -0.3
2020 -2.5 -0.7 -3.7 -2.4 -0.3 0.2 0.6 0.8 0.3 -1.1 0.9 0.6 -7.2
2021 1.4 2.2 -0.2 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart